I have been having extreme long lasting headaches when taking Vagifem.

Persistent or severe headache is reported as a severe side effect of Vagifem and should be reported to your doctor right away.

from http://www.drugs.com/sfx/vagifem-side-effects.html
Side Effects of Vagifem - for the Consumer

All medicines may cause side effects, but many people have no, or minor, side effects. Check with your doctor if any of these most COMMON side effects persist or become bothersome when using Vagifem:

Breast pain or tenderness; headache; hair loss; mild nausea or vomiting; spotting or breakthrough bleeding; stomach cramps or bloating.

Seek medical attention right away if any of these SEVERE side effects occur when using Vagifem:

Severe allergic reactions (rash; hives; itching; difficulty breathing; tightness in the chest; swelling of the mouth, face, lips, or tongue); back pain;breast discharge or lump in the breast; calf or leg pain or swelling; chest pain; coughing up blood; dark urine; depression; dizziness; fainting; fever; memory problems; mental or mood changes; muscle pain; one-sided weakness; painful or difficult urination; persistent or severe breast pain or tenderness; persistent or severe headache, nausea, or vomiting; severe stomach pain or swelling; slurred speech; sudden shortness of breath; sunburn-like rash; swelling of hands, legs, or feet; unusual vaginal bleeding, discharge, itching, or odor; vision changes; vomiting; weakness or numbness of an arm or leg; yellowing of the skin or eyes.